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Mathematical Finance — Bachelier Congress 2000

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Cover of 'Mathematical Finance — Bachelier Congress 2000'

Table of Contents

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    Book Overview
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    Chapter 1 Bachelier and His Times: A Conversation with Bernard Bru
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    Chapter 2 Modern Finance Theory Within One Lifetime
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    Chapter 3 Future Possibilities in Finance Theory and Finance Practice
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    Chapter 4 Brownian Motion and the General Diffusion: Scale & Clock
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    Chapter 5 Rare Events, Large Deviations
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    Chapter 6 Conquering the Greeks in Monte Carlo: Efficient Calculation of the Market Sensitivities and Hedge-Ratios of Financial Assets by Direct Numerical Simulation
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    Chapter 7 On the Term Structure of Futures and Forward Prices
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    Chapter 8 Displaced and Mixture Diffusions for Analytically-Tractable Smile Models
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    Chapter 9 The Theory of Good-Deal Pricing in Financial Markets
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    Chapter 10 Spread Option Valuation and the Fast Fourier Transform
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    Chapter 11 The Law of Geometric Brownian Motion and its Integral, Revisited; Application to Conditional Moments
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    Chapter 12 The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures
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    Chapter 13 Using the Hull and White Two Factor Model in Bank Treasury Risk Management
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    Chapter 14 Default Risk and Hazard Process
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    Chapter 15 Utility-Based Derivative Pricing in Incomplete Markets
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    Chapter 16 Pricing Credit Derivatives in Credit Classes Frameworks
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    Chapter 17 An Autoregressive Conditional Binomial Option Pricing Model
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    Chapter 18 Markov Chains and the Potential Approach to Modelling Interest Rates and Exchange Rates
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    Chapter 19 Theory and Calibration of HJM with Shape Factors
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    Chapter 20 Optimal Investment in Incomplete Financial Markets
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    Chapter 21 Evaluating Investments in Disruptive Technologies
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    Chapter 22 Quickest Detection Problems in the Technical Analysis of the Financial Data
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Title
Mathematical Finance — Bachelier Congress 2000
Published by
Springer Berlin Heidelberg, November 2013
DOI 10.1007/978-3-662-12429-1
ISBNs
978-3-64-208729-5, 978-3-66-212429-1
Editors

Geman, Hélyette, Madan, Dilip, Pliska, Stanley R., Vorst, Ton

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